WATT Options History — September 2014 In September 2014, WATT traded between $6006.00 and $7722.00. ATM implied volatility averaged 81.1%. The 30-day expected move averaged 22.5%. IV traded below realized volatility by 5.4% (HV 20d: 86.5%). Max pain ranged from $6000.00 to $7500.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2014-09-19 : Largest IV spike — 218.7% change2014-09-22 : Largest Expected Move — 30.8%Monthly Statistics Metric Avg Min Max Open Close Price $6922.29 $6006.00 $7722.00 $7068.00 $6804.00 Max Pain $7071.43 $6000.00 $7500.00 $6000.00 $7500.00 ATM IV 81.1% 55.6% 197.4% 141.2% 70.2% Expected Move 22.5% 19.0% 30.8% 19.7% 20.0% HV 20d 86.5% 33.6% 107.3% 34.0% 107.0% HV 60d 81.5% 79.8% 82.8% 80.6% 80.8% Term Structure 4.1% -64.5% 42.0% 6.2% 12.0% VWIV 77.4% 60.3% 98.2% 74.5% 83.5% Skew 25d 11.4% -12.1% 48.6% 11.4% 8.9% Skew 10d 18.9% -18.4% 49.8% 37.0% 26.0% Call IV 25d 65.6% 57.3% 77.5% 66.6% 69.3% Put IV 25d 77.0% 48.6% 117.3% 78.0% 78.3% Bid-Ask Spread % 129.18 65.36 173.08 150.66 144.87 Gamma HHI 0.40 0.33 0.57 0.46 0.35 Net GEX -216 -1.1K 357 -112 -1.1K Net DEX 1.4K -39.9K 42.0K -21.3K 4.7K Net VEX -694 -962 -207 -236 -861 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.00 2.09 1.06 0.00 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-09-02 $7068.00 $6000.00 141.2% 19.7% 34.0% 0.0% 0.0% 0.0% 0.0% -112 -21.3K -236 0.00 150.66 N/A N/A 0 0 0 0 2014-09-03 $7170.00 $6000.00 67.4% 19.6% 33.6% 0.0% 74.5% 11.4% 6.2% 116 -10.3K -238 0.00 74.14 N/A N/A 0 0 0 0 2014-09-04 $6978.00 $6000.00 70.0% 19.2% 34.7% 0.0% 71.4% 10.4% 3.7% -35 1.4K -272 0.00 77.54 N/A N/A 0 0 0 0 2014-09-05 $6006.00 $6000.00 74.5% 22.5% 63.1% 0.0% 77.9% 15.0% -21.8% -22 27.5K -207 1.06 83.67 N/A N/A 0 0 0 0 2014-09-08 $6594.00 $6000.00 78.3% 20.9% 72.3% 0.0% 0.0% 17.0% -23.8% 93 21.3K -288 0.00 85.56 N/A N/A 0 0 0 0 2014-09-09 $7722.00 $6000.00 83.6% 21.1% 91.6% 0.0% 75.8% -3.6% -1.9% -237 -17.2K -321 1.13 65.36 N/A N/A 0 0 0 0 2014-09-10 $7218.00 $7500.00 74.8% 19.5% 95.1% 0.0% 78.0% -1.7% 4.6% 19 10.9K -694 1.06 85.43 N/A N/A 0 0 0 0 2014-09-11 $7302.00 $7500.00 65.7% 23.3% 95.1% 0.0% 98.2% -0.6% 15.9% -832 18.9K -844 0.00 119.25 N/A N/A 0 0 0 0 2014-09-12 $7470.00 $7500.00 68.3% 20.2% 94.0% 0.0% 60.3% 4.8% 8.4% -447 -13.5K -940 0.00 149.45 N/A N/A 0 0 0 0 2014-09-15 $7392.00 $7500.00 68.0% 20.9% 94.1% 0.0% 0.0% -11.2% 10.3% -199 -29.5K -962 0.37 156.51 N/A N/A 0 0 0 0 2014-09-16 $7224.00 $7500.00 55.6% 20.8% 93.6% 0.0% 0.0% 10.5% 29.1% 357 -24.8K -951 0.00 155.38 N/A N/A 0 0 0 0 2014-09-17 $7098.00 $7500.00 64.8% 20.2% 93.4% 0.0% 0.0% -12.1% 42.0% 265 -39.9K -935 0.00 157.97 N/A N/A 0 0 0 0 2014-09-18 $6798.00 $7500.00 62.0% 19.0% 94.0% 0.0% 0.0% 14.2% 41.2% -95 3.5K -892 0.00 157.14 N/A N/A 0 0 0 0 2014-09-19 $6642.00 $7500.00 197.4% 27.7% 94.2% 0.0% 83.5% 0.0% -64.5% 108 4.2K -880 0.00 173.08 N/A N/A 0 0 0 0 2014-09-22 $6006.00 $7500.00 84.5% 30.8% 100.0% 0.0% 0.0% 15.6% 5.2% -87 42.0K -706 2.09 144.12 N/A N/A 0 0 0 0 2014-09-23 $6402.00 $7500.00 79.1% 29.4% 103.4% 0.0% 0.0% 39.7% -5.1% -216 35.7K -778 0.00 142.41 N/A N/A 0 0 0 0 2014-09-24 $6564.00 $7500.00 62.0% 27.4% 103.9% 0.0% 0.0% 2.6% -1.5% -1.1K 34.1K -843 0.00 147.17 N/A N/A 0 0 0 0 2014-09-25 $6732.00 $7500.00 89.2% 27.0% 104.5% 0.0% 0.0% 48.6% -7.3% -436 14.4K -899 0.00 150.69 N/A N/A 0 0 0 0 2014-09-26 $7164.00 $7500.00 69.7% 21.7% 107.1% 0.0% 0.0% 39.1% 13.3% -301 -21.2K -923 0.00 145.46 N/A N/A 0 0 0 0 2014-09-29 $7014.00 $7500.00 77.2% 20.9% 107.3% 0.0% 0.0% 8.2% 15.7% -335 -11.4K -898 0.00 146.91 N/A N/A 0 0 0 0 2014-09-30 $6804.00 $7500.00 70.2% 20.0% 107.0% 0.0% 0.0% 8.9% 12.0% -1.1K 4.7K -861 0.00 144.87 N/A N/A 0 0 0 0
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